I never pre blend. But many do. There is no right or wrong here.
Pre blending helps some to avoid damaging the natural nail plate.
Blending skillfully and using great quality fast blending tips will also avoid any damage to the natural nail plate.
The main thing is that you do no harm to the plate and however you acheive that will be a job well done.
If the natural nails are suited to it, I used to cut out the well but I have to say I now use the Performance tips from CND which are already cut out and have a dull finish so there is no need to do anything but stick them on. VERY fast.